So this all brings up another question? Is the game still interesting if you are guaranteed that your character will never die? If you were assured immortality (at least as far as the highest level in whatever game you play), would you get the same thrill in playing?
Depends on the game and the genre.
In Paranoia, the point is to die. Die the least, but die none the less. In the most entertaining ways fashionable. If you have death immunity, it's pointless.
A game like Mouseguard, death really isn't an option. Failure means that things get more complicated. If you fail to climb up a cliff over a river, you don't fall off and drown - your character is swept down the river and now everyone must rush to save you. (Failure in this game means success With Complications).
Other games, death isn't really the point. Some are masochistic in nature - the point (or the risk) is having bad things happen to you, and if you die that's the easy way out. Others death isn't the focus at all. Primetime Adventures is just emulating a TV show via roleplaying. LARPing is just about interacting and acting a part (at least ye olde Vampire LARPs).
I've heard of some groups that death
is not allowed; a PC can only die if the player agrees to it. And yet those groups still enjoy their games and have risks and failure. There was a thread about this a few years ago here on ENWorld.
The only thing I
need in my gaming is the social interaction, telling good stories, and having a good time. It really doesn't matter what we're doing as long as it's not boring. If I get that, I'm satisfied, risk or no.